We can achieve this by two methods
At the Agent level
The agentparm.txt has the following parameter
Specifies the default initial working directory for all scripts. Options are as follows:
Sets the path to where the script resides.
Sets the path to the home directory of the owner of the script.
Specifies that the script should run even if a home directory for the user is not defined.
Specifies the path to the directory in which the script should run.
At the Job level
The envvars attribute specifies environment variables to define the local environment where the script, command, or batch file runs. You can modify existing environment variables or create your own.